![]() | By: Jeffrey Owen Katz Donna McCormick Binding: Hardcover Publisher: McGraw-Hill Professional ISBN: 0070580995 ISBN-13: 9780070580992 Released: 01 Mar 2000 RRP: Average Rating: ![]() |


Each strategy is tested against a random entry system on a specified data period. Debunking supposed value in many trend following systems once slippage is taken into account.
An interesting study that a worthy mathematician/statistician has conducted, with some practical concepts.
The author cross tests systems on tradestation & his own personallly written programs, the book includes a lot of hard code for these systems (also available for purchase).
The author was moderately helpful when I contacted them by email & bought data & system code but that has gone to waste with limited support thereafter.
Overalll impression is that the book is well thought & written but a bit heavy on the quant side for sum people.
The author conducts statistics studies for ME (Chonic fatigue syndrome) & I was left with the impression that the author makes his money through his stats & authoring competence over any great success in practicallly system trading in the real world...
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